Browsing Department of Mathematics by Subject "jump diffusion"
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Likelihood Estimation of Jump-Diffusions. Extensions from Diffusions to Jump-Diffusions, Implementation with Automatic Differentiation, and Applications (Master thesis, 2016-06-02)This thesis considers the problem of likelihood- based parameter estimation for time-homogeneous jump-diffusion processes. The problem is that there often is no analytic solution to the stochastic differential equations ...